A Second-Order Method for Stochastic Bandit Convex Optimisation

Abstract

We introduce a simple and efficient algorithm for unconstrained zeroth-order stochastic convex bandits and prove its regret is at most $(1 + r/d)[d^{1.5} \sqrt{n} + d^3] polylog(n, d, r)$ where $n$ is the horizon, $d$ the dimension and $r$ is the radius of a known ball containing the minimiser of the loss.